March 2022
Beginner to intermediate
796 pages
18h 14m
Korean
Content preview from 파이썬을 활용한 금융 분석(2판) : 파이썬의 기초부터 금융공학, 머신러닝, 퀀트 분석, 매매 시스템 구현까지
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662
5
부
파생상품 분석
이 함수는 다음과 같이 사용할 수 있다.
In [8]: from get_year_deltas import get_year_deltas
In [9]: get_year_deltas(dates)
Out[9]: array([0. , 0.49863014, 1.00273973])
단기 이자율 모형에서는 이러한 방식이 확실히 더 유용하다.
17.2.2
고정 단기 이자율
단기 이자율 할인의 가장 간단한 경우, 즉 단기 이자율이 시간에 따라 변하지 않는 경우에 초점
을 맞춰보자. 블랙-숄즈-머튼 모형
Black
-
Scholes
-
Merton
(
1973
), 머튼 모형
Merton
(
1976
), 콕스-로
스-루빈스타인 모형
Cox
-
Ross
-
Rubinstein
(
1979
)과 같은 많은 옵션 가격결정 모형들이 이 가정을 사
용한다.
8
옵션 가격결정에서는 항상 연속 할인
continuous
discounting
을 가정한다. 연속 할인의 경우
오늘부터 미래의 날짜
t
까지의 고정 이자율
r
로 인한 할인율은
D
0
(
t
)
=
e
–
rt
으로 주어진다. 물론
모형의 만기
T
에는
D
0
(
t
)
=
e
–
rT
가 될 것이다.
t
와
T
모두 연 비율로 표현된 숫자임에 주의한다.
할인율은 만기
T
를 가지는
단위 무이표채
unit
zero
-
coupon
bond
의 현재
t
시점의 가치로 해석할 수 있
다.
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O’Reilly covers everything we've got, with content to help us build a world-class technology community, upgrade the capabilities and competencies of our teams, and improve overall team performance as well as their engagement.Julian F.
I wanted to learn C and C++, but it didn't click for me until I picked up an O'Reilly book. When I went on the O’Reilly platform, I was astonished to find all the books there, plus live events and sandboxes so you could play around with the technology.Addison B.
I’ve been on the O’Reilly platform for more than eight years. I use a couple of learning platforms, but I'm on O'Reilly more than anybody else. When you're there, you start learning. I'm never disappointed.Amir M.
I'm always learning. So when I got on to O'Reilly, I was like a kid in a candy store. There are playlists. There are answers. There's on-demand training. It's worth its weight in gold, in terms of what it allows me to do.